文章基本信息

标题：Empirical Investigation on the Performance of the Malaysian Real Estate Investment Trusts in Pre-Crisis, During Crisis and Post-Crisis Period
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作者：Ahmad Husni Hamzah ; Mohammad Badri Rozali ; Izah Mohd Tahir 等
期刊名称：International Journal of Economics and Finance
印刷版ISSN：1916-971X
电子版ISSN：1916-9728
出版年度：2009
卷号：2
期号：2
页码：62
DOI：10.5539/ijef.v2n2P62
出版社：Canadian Center of Science and Education
摘要：Normal 0 false false false EN-US X-NONE X-NONE /* Style Definitions */ table.MsoNormalTable {mso-style-name:"Table Normal"; mso-tstyle-rowband-size:0; mso-tstyle-colband-size:0; mso-style-noshow:yes; mso-style-priority:99; mso-style-qformat:yes; mso-style-parent:""; mso-padding-alt:0in 5.4pt 0in 5.4pt; mso-para-margin-top:0in; mso-para-margin-right:0in; mso-para-margin-bottom:4.0pt; mso-para-margin-left:0in; text-align:justify; line-height:12.0pt; mso-line-height-rule:exactly; mso-pagination:widow-orphan; font-size:11.0pt; font-family:"Calibri","sans-serif"; mso-ascii-font-family:Calibri; mso-ascii-theme-font:minor-latin; mso-fareast-font-family:"Times New Roman"; mso-fareast-theme-font:minor-fareast; mso-hansi-font-family:Calibri; mso-hansi-theme-font:minor-latin; mso-bidi-font-family:"Times New Roman"; mso-bidi-theme-font:minor-bidi;} This study examines the performance of Real Estate Investment Trusts (REITs) or listed property trusts in Malaysia using three standard performance measurement methods (Sharpe Index, Treynor Index and Jensen Index) for 1995 to 2005. In addition, it investigates the degree of systematic risks of REITs and to determine whether REITs give higher returns than the market portfolio. The results indicate that the risk-adjusted performance of REITs vary over time. REITs in general outperformed the market portfolio during the financial crisis but underperformed in the pre-crisis and post-crisis period. This study also found that the average systematic risks of REITs were slightly higher than the market portfolio during the pre-crisis and crisis period but were significantly lower in the post-crisis period. Keywords : Real Estate Investment Trusts, Risk-adjusted Performance, Systematic Risk, Malaysia